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Let the strategy own the whole account; drop the unmanaged list

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Every position is the strategy's: names it does not select, including ones
outside the index such as AAOI, are sold at the next rebalance, and sizing
uses the full NAV less the cash buffer. A position that is not a USD stock
cannot be traded as a SMART/USD order, so rebalance refuses to run while
one exists.

Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
This commit is contained in:
Gahow Wang
2026-10-12 05:28:49 -07:00
parent e2b06f1b1c
commit 8238651af6
4 changed files with 25 additions and 23 deletions
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16
src/ibkr_quant/cli.py
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@@ -148,16 +148,18 @@ async def rebalance(cfg: Config, submit: bool) -> None:
async with Broker(cfg.ib) as broker:
state = await broker.account_state()
managed = [h for h in state.holdings if h.sec_type == "STK" and h.currency == "USD" and h.symbol not in ex.unmanaged]
unmanaged_value = sum(h.market_value_usd for h in state.holdings if h not in managed)
investable = state.nav_usd * (1 - ex.cash_buffer) - unmanaged_value
weights = select_with_buffer(score, {h.symbol for h in managed}, st.top_n, st.buffer)
# The strategy owns the whole account: every position it does not select is sold.
# Orders go out as SMART/USD stocks, so any other kind of position stops the run.
if foreign := [h.symbol for h in state.holdings if (h.sec_type, h.currency) != ("STK", "USD")]:
raise SystemExit(f"positions that are not USD stocks: {foreign}; close them before rebalancing")
investable = state.nav_usd * (1 - ex.cash_buffer)
weights = select_with_buffer(score, {h.symbol for h in state.holdings}, st.top_n, st.buffer)
# Sized at today's open, the latest price in the bars; filled at the close. A holding
# that left the index has no bars and takes the account's price; its exit size does not use it.
# outside the index has no bars and takes the account's price; its exit size does not use it.
orders = plan_orders(
weights,
{h.symbol: h.quantity for h in managed},
{h.symbol: h.market_price for h in managed} | opens.iloc[-1].dropna().to_dict(),
{h.symbol: h.quantity for h in state.holdings},
{h.symbol: h.market_price for h in state.holdings} | opens.iloc[-1].dropna().to_dict(),
investable,
max(ex.min_trade_value, ex.min_trade_fraction * state.nav_usd),
ex.resize_band,